You can install modules downloaded from CPAN onto ActiveState Perl without too many problems. You will need some extra bits though:

• You need to be able to unpack .tar.gz files, WinZip can manage this- amongst others, and you can get command line tar and gnuzip for windows too - Cygwin is a good place for this.
• You also need a copy of make. ActiveState built Perl with Microsoft's tools so you will need Microsoft's make program, called nmake that you can get from here.
• If the module requires XS (c/c++ stuff) then you will need a copy of Visual C, however most do not, so you should be okay for most things.
• Basically once you have downloaded the file, unpack it and follow the instructions - remembering that it's nmake not make.

Don't forget that there is the Perl Package Manager can use other archives than just the default ActiveState one, see Re: Modules in the Windows environment for more details.

Happy hunting